comp_ret1 <- function(y) {
library(zoo)
prior_returns <- function(y, months){
y %>%
group_by(symbol) %>%
mutate(returns = roll_mean(lag(monthly_returns, n = 1), months, fill = NA, align = "right")) %>%
rename(c(returns = paste0(months, "_month_prior_returns")))
}
for(i in c(1, 2, 3, 6, 9, 12, 15, 18, 21, 24, 30, 36, 48, 60)) {prior_returns(y, i) -> y}
y <- y%>%
gather(key = j.ret, value = prev.returns, 7:ncol(y))
y$j.ret <- extract_numeric(y$j.ret)
prior_returns2 <- function(y, months){
y %>%
group_by(symbol) %>%
mutate(mean_TV = roll_mean(lag(monthly_TV, n = 1), months, fill = NA, align = "right")) %>%
rename(c(mean_TV = paste0(months, "_month_prior_volume")))
}
for(i in c(1, 2, 3, 6, 9, 12, 15, 18, 21, 24, 30, 36, 48, 60)) {prior_returns2(y, i) -> y}
y <- y%>%
gather(key = j.vol, value = prev.vol, 9:ncol(y))
y$j.vol <- extract_numeric(y$j.vol)
z <- y %>%
filter(j.ret == j.vol)# %>%
#select(-"j.vol")
return(z)
}
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